Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former … diversification, and how an acknowledgment of volatility clustering can enhance the quality of risk models. The analysis is carried … risk historically received more attention, especially in financial regulation, our analysis shows that volatility clusters …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …